HYG Options History — January 2013

In January 2013, HYG traded between $93.67 and $94.88. ATM implied volatility averaged 5.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.6% (HV 20d: 4.9%). Max pain ranged from $93.00 to $94.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 19.00.

Notable Days

  • 2013-01-17: Highest Volume — 79,686 contracts
  • 2013-01-10: Largest IV spike — 27.3% change
  • 2013-01-14: Highest IV Rank — 27.2%
  • 2013-01-14: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.38$93.67$94.88$94.23$93.67
Max Pain$93.48$93.00$94.00$93.00$94.00
ATM IV5.5%4.7%6.5%6.2%5.4%
Expected Move1.7%1.4%1.9%1.8%1.5%
HV 20d4.9%3.8%5.3%5.2%3.8%
HV 60d5.0%4.8%5.3%5.3%5.1%
IV Rank19.6%13.1%27.2%25.1%18.4%
IV Percentile13.1%1.6%34.1%22.2%11.5%
Term Structure1.1%0.1%2.1%0.9%0.9%
VWIV6.7%4.6%10.2%6.5%6.6%
Skew 25d2.6%1.3%3.5%1.5%3.1%
Skew 10d4.6%2.0%6.1%4.9%2.0%
Call IV 25d4.9%3.4%5.9%5.7%5.5%
Put IV 25d7.5%6.1%8.7%7.2%8.7%
Bid-Ask Spread %15.109.1920.4811.5416.37
Gamma HHI0.240.180.400.250.20
Net GEX-41.9M-251.7M44.1M-15.9M-251.7M
Net DEX176.7M-20.4M724.7M26.5M724.7M
Net VEX-1.7M-2.8M-1.1M-1.2M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.000.07160.5314.656.56
Total Volume15,519.9051,37579,68614,12929,452
Total OI226,691.19166,130310,893166,130293,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$94.23$93.006.2%1.8%5.2%25.1%6.5%1.5%0.9%-15.9M26.5M-1.2M14.6511.5490313,22631,032135,098
2013-01-03$93.94$93.006.2%1.8%5.3%24.4%6.1%1.3%0.5%-23.6M62.9M-1.2M1.7911.943,2895,88531,824144,636
2013-01-04$94.00$93.004.7%1.8%5.3%13.1%7.0%2.5%2.1%-20.2M75.5M-1.3M5.5020.481,89110,40731,921149,497
2013-01-07$94.08$93.005.3%1.8%5.3%17.6%6.7%1.9%1.0%-22.7M93.6M-1.4M0.2414.323,13174931,998159,470
2013-01-08$94.01$93.004.9%1.8%5.3%14.9%6.5%2.4%1.6%-3.8M47.9M-1.1M4.2616.397403,15535,063159,965
2013-01-09$94.19$93.004.9%1.7%5.3%14.6%6.9%1.9%1.5%936.0K44.4M-1.2M1.3116.5663082735,654159,959
2013-01-10$94.35$93.006.2%1.8%5.3%25.1%7.4%3.2%1.4%24.2M18.4M-1.2M3.6115.504011,44636,169160,272
2013-01-11$94.52$93.006.0%1.7%5.2%23.4%7.8%2.9%1.6%20.8M2.2M-1.1M6.7110.843672,46436,266161,117
2013-01-14$94.39$93.006.5%1.9%5.1%27.2%6.0%2.4%1.2%44.1M10.8M-1.1M0.0713.3516,7081,23736,153162,432
2013-01-15$94.41$93.006.2%1.8%5.1%24.4%6.3%2.8%0.6%5.6M-12.9M-1.1M1.2317.738801,08348,133162,887
2013-01-16$94.25$93.005.8%1.6%5.0%21.3%5.6%2.3%0.3%26.5M-20.0M-1.1M2.3913.418,59620,55348,517163,546
2013-01-17$94.59$94.005.6%1.6%5.1%19.9%6.9%2.5%0.1%25.3M-20.4M-1.4M16.9915.174,42975,25753,346183,186
2013-01-18$94.72$94.005.3%1.5%5.1%17.5%5.8%3.4%1.5%-29.0M161.0M-2.0M12.8019.805416,92352,947257,946
2013-01-22$94.78$94.005.0%1.4%5.0%15.6%6.2%3.3%1.1%-56.2M156.1M-1.6M14.7116.812944,32443,961194,756
2013-01-23$94.67$94.004.8%1.4%4.8%13.5%5.9%2.6%1.4%-80.0M275.7M-2.2M59.2715.561086,40144,090195,531
2013-01-24$94.88$94.004.9%1.4%4.6%14.9%6.2%3.0%1.5%-74.1M257.6M-2.2M160.5317.18365,77944,156198,144
2013-01-25$94.85$94.005.3%1.5%4.4%17.7%4.6%3.0%0.8%-85.0M289.1M-2.4M0.889.1911,88310,42544,177202,622
2013-01-28$94.80$94.005.2%1.5%4.4%17.1%10.2%3.5%1.3%-86.2M351.0M-2.5M70.2917.1481857,49445,973212,664
2013-01-29$94.64$94.005.5%1.6%4.3%19.4%7.3%2.7%1.6%-125.2M488.1M-2.5M0.3813.2999538034,851259,962
2013-01-30$93.96$94.006.5%1.9%5.0%26.9%7.9%2.7%0.8%-153.1M678.4M-2.8M14.8114.6474711,06434,715242,597
2013-01-31$93.67$94.005.4%1.5%3.8%18.4%6.6%3.1%0.9%-251.7M724.7M-2.6M6.5616.373,89625,55634,938258,344